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dc.creatorCaporale, G.M. (Guglielmo M.)-
dc.creatorGil-Alana, L.A. (Luis A.)-
dc.creatorPlastun, A. (Alex)-
dc.date.accessioned2021-08-16T09:05:05Z-
dc.date.available2021-08-16T09:05:05Z-
dc.date.issued2019-
dc.identifier.citationCaporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Plastun, A. (Alex). "Long-term price overreactions: are markets inefficient?". Journal of Economics and Finance. (43), 2019, 657 - 680es
dc.identifier.issn1055-0925-
dc.identifier.urihttps://hdl.handle.net/10171/61249-
dc.description.abstractThis paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called "inertia anomaly". Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.es_ES
dc.language.isoenges_ES
dc.publisherSpringer Science and Business Media LLCes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.subjectMaterias Investigacion::Economía y Empresa::Economíaes_ES
dc.subjectEfficient market hypothesises_ES
dc.subjectAnomalyes_ES
dc.subjectOverreaction hypothesises_ES
dc.subjectAbnormal returnses_ES
dc.subjectContrarian strategyes_ES
dc.subjectTrading strategyes_ES
dc.subjectTrading robotes_ES
dc.subjectInertia anomalyes_ES
dc.titleLong-term price overreactions: are markets inefficient?es_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.description.noteThis article is distributed under the terms of the Creative Commons Attribution 4.0 International Licensees_ES
dc.identifier.doi10.1007/s12197-018-9464-8-
dadun.citation.endingPage680es_ES
dadun.citation.number43es_ES
dadun.citation.publicationNameJournal of Economics and Financees_ES
dadun.citation.startingPage657es_ES

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